randPort: Makes a randPort object Generates random portfolios for the...

In davidkane9/matchingportfolios: Generate Random or Matching Portfolios

Description

Makes a randPort object Generates random portfolios for the evaluation of portfolio management

Usage

  randPort(data, match.var = NULL, weight.var = NULL,
    ret.var = NULL, exposures = NULL, n, replace = TRUE,
    verbose = FALSE, ...)

Arguments

data	A dataframe containing data about the universe of stocks
match.var	Variables to match on
weight.var	Weights for the stocks
ret.var	The return variable
exposures	A numeric vector of exposures to the matched factors the the output portfolio should have, in the order they are given in match.var
replace	FALSE if names in the original portfolio should not be in the new one
n	Number of generated portfolios
verbose	Set to TRUE to give verbose output
...	arguments to be passed to kmatching MCMC algorithms

Examples

data(jan)
## this hangs, fix mirror
##rP = randPort(data = jan, match.var = "growth", weight.var = "portfolio", ret.var = "fwd.ret.1m", n = 1000 )

davidkane9/matchingportfolios documentation built on May 15, 2019, 1:14 a.m.